Package org.drip.capital.allocation

Class CorrelationCategoryBetaManager

java.lang.Object
org.drip.capital.allocation.CorrelationCategoryBetaManager
public class CorrelationCategoryBetaManager
extends java.lang.Object
CorrelationCategoryBetaManager holds the Beta Loading Map Scheme for the different Correlation Categories. The References are:

  • Bank for International Supervision(2005): Stress Testing at Major Financial Institutions: Survey Results and Practice https://www.bis.org/publ/cgfs24.htm
  • Glasserman, P. (2004): Monte Carlo Methods in Financial Engineering Springer
  • Kupiec, P. H. (2000): Stress Tests and Risk Capital Risk 2 (4) 27-39


Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • CorrelationCategoryBetaManager

      public CorrelationCategoryBetaManager()
      Empty CorrelationCategoryBetaManager Constructor

  • Method Details

    • ThreeBetaFixedFloatFloat

      public static final CorrelationCategoryBetaManager ThreeBetaFixedFloatFloat​(double highCorrelationFixedBetaLoading, double mediumCorrelationFloatBetaLoading)
      Construct the Three-Beta Fixed-High Float-Medium Float-Low Instance of CorrelationCategoryBetaManager
      Parameters:
      highCorrelationFixedBetaLoading - High Correlation Beta FIXED Loading
      mediumCorrelationFloatBetaLoading - Medium Correlation Beta FLOAT Loading
      Returns:
      The Three-Beta Fixed-High Float-Medium Float-Low Instance of CorrelationCategoryBetaManager

    • TwoBetaFixedFloat

      public static final CorrelationCategoryBetaManager TwoBetaFixedFloat​(double highCorrelationFixedBetaLoading)
      Construct the Fixed-High Float-Low Two-Beta Instance of CorrelationCategoryBetaManager
      Parameters:
      highCorrelationFixedBetaLoading - High Correlation Beta FIXED Loading
      Returns:
      The Fixed-High Float-Low Two-Beta Instance of CorrelationCategoryBetaManager

    • TwoBetaFloatFloat

      public static final CorrelationCategoryBetaManager TwoBetaFloatFloat​(double highCorrelationFloatBetaLoading)
      Construct the Float-High Float-Low Two-Beta Instance of CorrelationCategoryBetaManager
      Parameters:
      highCorrelationFloatBetaLoading - High Correlation Beta FLOAT Loading
      Returns:
      The Float-High Float-Low Two-Beta Instance of CorrelationCategoryBetaManager

    • correlationCategoryBetaMap

      public java.util.Map<java.lang.Integer,​CorrelationCategoryBeta> correlationCategoryBetaMap()
      Retrieve the Historical Correlation Category Beta Map
      Returns:
      The Historical Correlation Category Beta Map

    • addCorrelationCategoryBeta

      public boolean addCorrelationCategoryBeta​(int correlationCategory, CorrelationCategoryBeta correlationCategoryBeta)
      Add the Beta Loading corresponding to the Correlation Category
      Parameters:
      correlationCategory - The Correlation Category
      correlationCategoryBeta - The Correlation Category Beta Loading
      Returns:
      TRUE - The Beta Loading successfully added

    • categoryExists

      public boolean categoryExists​(int correlationCategory)
      Indicate of the Correlation Category Exists
      Parameters:
      correlationCategory - The Correlation Category
      Returns:
      TRUE - The Correlation Category Exists

    • correlationCategoryBeta

      public CorrelationCategoryBeta correlationCategoryBeta​(int correlationCategory)
      Retrieve the Correlation Category Beta Loading for the Correlation Category
      Parameters:
      correlationCategory - The Correlation Category
      Returns:
      The Correlation Category Beta Loading